engleski

The housing wealth effect before and after the 2008 financial crisis: panel vector autoregression approach

In this empirical study, a system estimation of housing wealth effect on personal consumption is analysed by employing panel vector autoregressive model. The research is conducted for a panel of 28 selected European countries. Housing wealth effect appears to be more protuberant than financial wealth effect, therefore in this research the dynamic relationship between personal consumption and housing wealth is empirically verified using the panel vector autoregressive methodology. The data for unbalanced panel spans from 1990 to 2016 and the estimation is conducted using generalised method of moments. With the objective of exploring the impact that financial crisis in 2008 may have on housing wealth shock on consumption, the analysis is performed by splitting the data set into two sub-panels: first one spanning from 1990-2008 and the second one spanning from 2009-2016. The results have shown that higher responsiveness of consumption to a housing wealth shock is apparent before crisis

European countries, housing wealth effect, personal consumption, PVAR

This work has been fully supported by Croatian Science Foundation under the project STatistical Modelling for REspoNse to Crisis and Economic GrowTH in WeStern Balkan Countries -STRENGTHS (No.: IP 2013-9402)